How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.9284	2.18**
α ARCH Response to squared shocks	0.0682	2.48**
β GARCH Volatility persistence	0.9107	22.11***

γ₁	0.2335	0.30
γ₂	-0.9546	-0.79
γ₃	1.0669	1.65*
γ₄	-0.0924	-0.23
γ₅	-0.3952	-1.20
γ₆	0.6365	2.34**
γ₇	-1.0184	-3.66***
γ₈	0.9971	3.32***
γ₉	-1.3774	-3.27***
γ₁₀	1.6528	2.68***

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Tianjin Cap Envmntl Protn Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Tianjin Cap Envmntl Protn Analyses